Search Results - subject:"Autocovariance matrix"

Banded and Tapered Estimates for Autocovariance Matrices and the Linear Process Bootstrap

McMurry, Timothy L; Politis, D N - Department of Economics, University of California-San … - 2010

We address the problem of estimating the autocovariance matrix of a stationary process. Under short range dependence … assumptions, convergence rates are established for a gradually tapered version of the sample autocovariance matrix and for its … inverse. The proposed estimator is formed by leaving the main diagonals of the sample autocovariance matrix intact while …

Persistent link: https://www.econbiz.de/10010676427

Statistical properties of a blind source separation estimator for stationary time series

Miettinen, Jari; Nordhausen, Klaus; Oja, Hannu; … - In: Statistics & Probability Letters 82 (2012) 11, pp. 1865-1873

In this paper, we assume that the observed p time series are linear combinations of p latent uncorrelated weakly stationary time series. The problem is then, using the observed p-variate time series, to find an estimate for a mixing or unmixing matrix for the combinations. The estimated...

Persistent link: https://www.econbiz.de/10011040036